Correlation Coefficient

Category: momentum

Calculates the Pearson Correlation Coefficient between two series (or a series and its offset) over a specified period to measure linear relationship strength.

Formula

r = \frac{\sum(x - \bar{x})(y - \bar{y})}{\sqrt{\sum(x - \bar{x})^2 \sum(y - \bar{y})^2}}

Inputs

• length (default: 3)

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